Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 3 3 3
Score -1.17 -1.41 -1.39
Market Cap (Millions USD) 379.99 496.17 419.85
Predicted Beta 0.08 0.09 0.09
Idiosyncratic Volatility 1.81 1.76 1.83

Annualized return and volatility

IYZ
Annualized Return -0.0061
Annualized Std Dev 0.2266
Annualized Sharpe (Rf=0%) -0.0269

Row

Daily Return Statistics

IYZ
Observations 5010.0000
NAs 104.0000
Minimum -0.1020
Quartile 1 -0.0064
Median 0.0000
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0071
Maximum 0.1411
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0005
Variance 0.0002
Stdev 0.0143
Skewness 0.0248
Kurtosis 7.3883

Downside Risk

IYZ
Semi Deviation 0.0102
Gain Deviation 0.0102
Loss Deviation 0.0108
Downside Deviation (MAR=210%) 0.0150
Downside Deviation (Rf=0%) 0.0102
Downside Deviation (0%) 0.0102
Maximum Drawdown 0.7712
Historical VaR (95%) -0.0225
Historical ES (95%) -0.0347
Modified VaR (95%) -0.0212
Modified ES (95%) -0.0310
From Trough To Depth Length To Trough Recovery
2000-06-20 2002-09-30 NA -0.7712 4996 581 NA
2000-06-15 2000-06-16 2000-06-19 -0.0129 3 2 1
2000-06-12 2000-06-12 2000-06-13 -0.0075 2 1 1
2000-06-07 2000-06-07 2000-06-08 -0.0030 2 1 1
2000-05-31 2000-05-31 2000-06-01 -0.0011 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec IYZ
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA 2.9 0.0 0.9 1.0 0.0 -3.9 -0.1 0.0 0.8
2001 1.8 -2.5 0.0 1.3 -1.1 0.0 1.3 0.0 -0.3 1.7 0.0 0.0 2.1
2002 -1.3 1.7 -0.2 2.6 0.0 -2.0 -2.4 0.0 5.1 4.2 0.0 0.0 7.5
2003 0.0 0.0 2.6 0.4 0.0 1.1 -0.9 0.0 1.2 0.0 -0.4 0.0 4.0
2004 0.0 1.1 0.9 0.0 0.0 -1.2 0.0 1.0 1.6 0.6 1.5 0.0 5.5
2005 0.5 1.0 -0.3 0.0 0.0 0.4 0.0 0.0 0.0 0.0 1.1 0.0 2.7
2006 0.8 1.3 0.0 0.1 2.3 0.0 -0.5 0.7 0.0 -0.8 -0.2 0.0 3.8
2007 -0.2 -0.5 0.0 -0.2 -0.3 0.0 0.3 0.0 1.1 -3.2 0.0 0.0 -3.0
2008 1.1 0.0 3.5 3.8 0.0 -1.0 -1.2 0.0 -0.5 0.0 -8.2 0.0 -2.9
2009 0.0 0.0 3.7 2.1 1.3 0.3 0.0 -2.4 -2.9 0.0 1.8 0.0 3.9
2010 1.1 1.4 1.3 0.0 -2.3 0.2 0.0 2.4 0.6 -0.1 1.9 0.0 6.6
2011 1.4 -2.1 0.4 0.0 -1.4 1.6 0.4 -1.0 0.0 -2.2 -0.7 0.0 -3.5
2012 1.3 0.1 0.0 0.2 -2.2 0.0 -0.1 0.0 -0.5 0.3 0.0 0.0 -0.9
2013 0.7 -0.2 -0.1 -1.3 0.0 -0.2 0.5 0.0 0.9 -0.9 0.0 0.0 -0.5
2014 0.0 0.0 1.6 0.9 0.0 0.4 -0.5 0.0 -1.8 0.0 -1.4 0.0 -0.8
2015 0.0 0.0 2.4 0.2 -1.2 0.3 0.0 -2.4 -1.3 0.0 0.7 0.0 -1.3
2016 0.4 1.0 1.4 0.0 -1.1 0.1 -0.6 -0.7 0.0 -2.2 -0.3 0.0 -2.0
2017 -2.8 1.1 0.0 -0.4 1.5 0.0 1.2 1.4 0.0 -1.6 0.1 0.0 0.2
2018 -0.1 0.4 0.0 -0.9 1.1 0.0 -0.2 0.0 -0.4 0.7 0.0 0.0 0.7
2019 0.1 0.0 1.3 -1.0 0.0 0.2 -0.7 0.0 -1.8 -0.8 0.0 -0.3 -3.0

Row

Rolling Performance Chart

Snail Trail Chart